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Replication data for: Persistent Liquidity Effects and Long-Run Money Demand

Version
V0
Resource Type
Dataset
Creator
  • Alvarez, Fernando
  • Lippi, Francesco
Publication Date
2014-04-01
Description
  • Abstract

    We present a monetary model with segmented asset markets that implies a persistent fall in interest rates after a once and for all increase in liquidity. The gradual propagation mechanism produced by our model is novel in the literature. We provide an analytical characterization of this mechanism, showing that the magnitude of the liquidity effect on impact, and its persistence, depend on the ratio of two parameters: the long-run interest rate elasticity of money demand and the intertemporal substitution elasticity. The model simultaneously explains the short-run "instability" of money demand estimates as-well-as the stability of long-run interest-elastic money demand.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/mac.6.2.71 (Text)
Publications
  • Alvarez, Fernando, and Francesco Lippi. “Persistent Liquidity Effects and Long-Run Money Demand.” American Economic Journal: Macroeconomics 6, no. 2 (April 2014): 71–107. https://doi.org/10.1257/mac.6.2.71.
    • ID: 10.1257/mac.6.2.71 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-13

Alvarez, Fernando; Lippi, Francesco (2014): Replication data for: Persistent Liquidity Effects and Long-Run Money Demand. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E114297